Luc Bauwens : Citation Profile


Are you Luc Bauwens?

Université Catholique de Louvain

27

H index

53

i10 index

3582

Citations

RESEARCH PRODUCTION:

55

Articles

187

Papers

1

Books

3

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   39 years (1983 - 2022). See details.
   Cites by year: 91
   Journals where Luc Bauwens has often published
   Relations with other researchers
   Recent citing documents: 234.    Total self citations: 76 (2.08 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pba4
   Updated: 2023-01-28    RAS profile: 2022-10-21    
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Relations with other researchers


Works with:

Otranto, Edoardo (6)

Dufays, Arnaud (5)

Storti, Giuseppe (3)

Carpantier, Jean-François (3)

Yang, Yukai (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Luc Bauwens.

Is cited by:

McAleer, Michael (67)

Hautsch, Nikolaus (50)

Caporin, Massimiliano (47)

Maheu, John (44)

Rombouts, Jeroen (42)

van Dijk, Herman (35)

Hafner, Christian (34)

Stentoft, Lars (33)

Francq, Christian (29)

Gallo, Giampiero (28)

Martin, Gael (28)

Cites to:

Engle, Robert (88)

Bollerslev, Tim (47)

Rombouts, Jeroen (32)

van Dijk, Herman (29)

Shephard, Neil (28)

Laurent, Sébastien (27)

Sheppard, Kevin (22)

Giot, Pierre (22)

Jasiak, Joann (20)

Andersen, Torben (18)

Diebold, Francis (17)

Main data


Where Luc Bauwens has published?


Journals with more than one article published# docs
Journal of Econometrics11
Computational Statistics & Data Analysis5
Journal of Applied Econometrics4
Annals of Economics and Statistics3
Journal of Business & Economic Statistics3
Econometrics Journal3
Empirical Economics3
Econometric Reviews2
Journal of Empirical Finance2
European Economic Review2
International Journal of Forecasting2
Journal of Business & Economic Statistics2
Journal of Applied Econometrics2

Working Papers Series with more than one paper published# docs
Discussion Papers (ECON - Dpartement des Sciences Economiques) / Universit catholique de Louvain, Dpartement des Sciences Economiques11
ULB Institutional Repository / ULB -- Universite Libre de Bruxelles5
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute5
Computing in Economics and Finance 2002 / Society for Computational Economics3
Discussion Papers (REL - Recherches Economiques de Louvain) / Universit catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)3
Working Paper series / Rimini Centre for Economic Analysis2
SFB 649 Discussion Papers / Sonderforschungsbereich 649, Humboldt University, Berlin, Germany2
Tinbergen Institute Discussion Papers / Tinbergen Institute2
LIDAM Reprints ISBA / Universit catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)2
LIDAM Discussion Papers ISBA / Universit catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)2
UC3M Working papers. Economics / Universidad Carlos III de Madrid. Departamento de Economía2

Recent works citing Luc Bauwens (2022 and 2021)


YearTitle of citing document
2021Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas. (2021). Violante, Francesco ; Grassi, Stefano. In: CREATES Research Papers. RePEc:aah:create:2021-05.

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2022A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model. (2022). Teräsvirta, Timo ; Wade, Glen ; Terasvirta, Timo ; Silvennoinen, Annastiina ; Jakobsen, Johan Stax ; Kang, Jian. In: CREATES Research Papers. RePEc:aah:create:2022-01.

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2021A GARCH Tutorial with R. (2021). Perlin, Marcelo ; Vancin, Daniel Francisco ; Mastella, Mauro ; Ramos, Henrique Pinto. In: RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration). RePEc:abg:anprac:v:25:y:2021:i:1:1420.

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2021Time-varying volatility spillover of foreign exchange rate in three Asian markets: Based on DCC-GARCH approach. (2021). Sahoo, Malayaranjan ; Mishra, Amritkant ; Srivastava, Purwa ; Gupta, Mohini. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(629):y:2021:i:4(629):p:105-120.

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2021Time-Consistent Evaluation of Credit Risk with Contagion. (2021). Hainaut, Donatien ; Ketelbuters, John John. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021004.

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2021Dynamic Quantile Function Models. (2017). Sisson, Scott A ; Gerlach, Richard H ; Peters, Gareth W ; Ye, Wilson . In: Papers. RePEc:arx:papers:1707.02587.

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2021State-dependent Hawkes processes and their application to limit order book modelling. (2018). Pakkanen, Mikko S ; Morariu-Patrichi, Maxime . In: Papers. RePEc:arx:papers:1809.08060.

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2022Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2018). Blasques, Francisco ; Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1812.07318.

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2021Regularized Estimation of High-Dimensional Vector AutoRegressions with Weakly Dependent Innovations. (2020). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Papers. RePEc:arx:papers:1912.09002.

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2021Modelling time-varying interactions in complex systems: the Score Driven Kinetic Ising Model. (2020). Tantari, Daniele ; Lillo, Fabrizio ; di Gangi, Domenico ; Campajola, Carlo. In: Papers. RePEc:arx:papers:2007.15545.

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2022Machine Learning Classification of Price Extrema Based on Market Microstructure Features: A Case Study of S&P500 E-mini Futures. (2020). Arnaboldi, Luca ; Sokolovsky, Artur. In: Papers. RePEc:arx:papers:2009.09993.

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2021Improved ACD-based financial trade durations prediction leveraging LSTM networks and Attention Mechanism. (2021). Li, BO ; Long, Wen ; Dai, Wei ; Shi, Yong. In: Papers. RePEc:arx:papers:2101.02736.

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2021Evaluating the Discrimination Ability of Proper Multivariate Scoring Rules. (2021). Alexander, Carol ; Coulon, Michael ; Han, Yang ; Meng, Xiaochun. In: Papers. RePEc:arx:papers:2101.12693.

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2022Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783.

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2021State Heterogeneity Analysis of Financial Volatility Using High-Frequency Financial Data. (2021). Kim, Donggyu ; Chun, Dohyun. In: Papers. RePEc:arx:papers:2102.13404.

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2021Bootstrap Inference for Hawkes and General Point Processes. (2021). Cavaliere, Giuseppe ; Staerk-Ostergaard, Jacob ; Rahbek, Anders ; Lu, YE. In: Papers. RePEc:arx:papers:2104.03122.

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2021Volatility Modeling of Stocks from Selected Sectors of the Indian Economy Using GARCH. (2021). Dutta, Abhishek ; Mehtab, Sidra ; Sen, Jaydip. In: Papers. RePEc:arx:papers:2105.13898.

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2021Price graphs: Utilizing the structural information of financial time series for stock prediction. (2021). Chen, Xueyuan ; Xu, KE ; Wu, Junran ; Zhao, Jichang ; Li, Shangzhe. In: Papers. RePEc:arx:papers:2106.02522.

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2021Forecasting VaR and ES using a joint quantile regression and implications in portfolio allocation. (2021). Raponi, Valentina ; Petrella, Lea ; Merlo, Luca. In: Papers. RePEc:arx:papers:2106.06518.

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2021The Role of Binance in Bitcoin Volatility Transmission. (2021). Kaeck, Andreas ; Heck, Daniel ; Alexander, Carol. In: Papers. RePEc:arx:papers:2107.00298.

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2021Closed-form portfolio optimization under GARCH models. (2021). Zagst, Rudi ; Gollart, Maximilian ; Escobar-Anel, Marcos. In: Papers. RePEc:arx:papers:2109.00433.

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2021On a quantile autoregressive conditional duration model applied to high-frequency financial data. (2021). Vila, Roberto ; Balakrishnan, Narayanaswamy ; Saulo, Helton. In: Papers. RePEc:arx:papers:2109.03844.

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2021Optimal Regime-Switching Density Forecasts. (2021). Moramarco, Graziano. In: Papers. RePEc:arx:papers:2110.13761.

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2021Autoregressive conditional duration modelling of high frequency data. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02300.

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2021Multiplicative Component GARCH Model of Intraday Volatility. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02376.

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2022CTMSTOU driven markets: simulated environment for regime-awareness in trading policies. (2022). Balch, Tucker ; Moulin, Aymeric ; Amrouni, Selim. In: Papers. RePEc:arx:papers:2202.00941.

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2022Evaluating conditional covariance estimates via a new targeting approach and a networks-based analysis. (2022). Drago, Carlo ; Scozzari, Andrea. In: Papers. RePEc:arx:papers:2202.02197.

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2022Threshold Asymmetric Conditional Autoregressive Range (TACARR) Model. (2022). Ratnayake, Isuru ; Samaranayake, V A. In: Papers. RePEc:arx:papers:2202.03351.

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2022Neural Generalised AutoRegressive Conditional Heteroskedasticity. (2022). Yin, Zexuan ; Barucca, Paolo. In: Papers. RePEc:arx:papers:2202.11285.

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2022Variational Heteroscedastic Volatility Model. (2022). Barucca, Paolo ; Yin, Zexuan. In: Papers. RePEc:arx:papers:2204.05806.

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2022A Multivariate Spatial and Spatiotemporal ARCH Model. (2022). Otto, Philipp. In: Papers. RePEc:arx:papers:2204.12472.

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2022An Agent-Based Model With Realistic Financial Time Series: A Method for Agent-Based Models Validation. (2022). de Faria, Luis Goncalves. In: Papers. RePEc:arx:papers:2206.09772.

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2022A multivariate semi-parametric portfolio risk optimization and forecasting framework. (2022). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2207.04595.

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2022Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures. (2022). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2207.05939.

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2022Estimating value at risk: LSTM vs. GARCH. (2022). Schmidt, Thorsten ; Safarveisi, Sajad ; Pitera, Marcin ; Ormaniec, Weronika. In: Papers. RePEc:arx:papers:2207.10539.

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2022Change point detection in dynamic Gaussian graphical models: the impact of COVID-19 pandemic on the US stock market. (2022). Grzeszkiewicz, Karolina ; Koziell, Warrick Poklewski ; de Iorio, Maria ; Beskos, Alexandros ; Franzolini, Beatrice. In: Papers. RePEc:arx:papers:2208.00952.

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2022Predicting the State of Synchronization of Financial Time Series using Cross Recurrence Plots. (2022). Iosifidis, Alexandros ; Kanniainen, Juho ; Tzagkarakis, George ; Magris, Martin ; Shabani, Mostafa. In: Papers. RePEc:arx:papers:2210.14605.

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2022Bayesian Forecasting in the 21st Century: A Modern Review. (2022). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John . In: Papers. RePEc:arx:papers:2212.03471.

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2021PATTERNS AND DETERMINANTS OF INTRA-INDUSTRY TRADE IN AGRI-FOOD PRODUCTS BETWEEN BOSNIA AND HERZEGOVINA AND CEFTA 2006. (2021). Salkica, Mirela Abidovi ; Kastratovi, Radovan ; Brki, Snjeana. In: Economic Annals. RePEc:beo:journl:v:66:y:2021:i:229:p:7-36.

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2021Interdependence among West African stock markets: A dimension of regional financial integration. (2021). Kalu O., Emenike. In: African Development Review. RePEc:bla:afrdev:v:33:y:2021:i:2:p:288-299.

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2021Depth and breadth relevance in citation metrics. (2021). Tol, Richard ; Stern, David. In: Economic Inquiry. RePEc:bla:ecinqu:v:59:y:2021:i:3:p:961-977.

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2021AN OVERVIEW OF DYNAMIC MODEL AVERAGING TECHNIQUES IN TIME?SERIES ECONOMETRICS. (2021). Nonejad, Nima. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:35:y:2021:i:2:p:566-614.

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2022Next generation models for portfolio risk management: An approach using financial big data. (2022). Yu, Seunghyeon ; Kim, Donggyu ; Jung, Kwangmin. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:89:y:2022:i:3:p:765-787.

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2022State Heterogeneity Analysis of Financial Volatility using high?frequency Financial Data. (2022). Kim, Donggyu ; Chun, Dohyun. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:105-124.

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2022On the Relationship between Uhlig Extended and beta?Bartlett Processes. (2022). Irie, Kaoru ; Pea, Victor. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:147-153.

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2022Stationarity and ergodicity of Markov switching positive conditional mean models. (2022). Francq, Christian ; Aknouche, Abdelhakim. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:3:p:436-459.

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2022Dynamic correlation between crude oil and agricultural futures markets. (2022). Kang, Hanwen ; Yan, BO ; Chen, Zhuo. In: Review of Development Economics. RePEc:bla:rdevec:v:26:y:2022:i:3:p:1798-1849.

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2022Financial-market volatility prediction with multiplicative Markov-switching MIDAS components. (2022). Wilfling, Bernd ; Segnon, Mawuli ; Schulte-Tillman, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:9922.

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2021Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas. (2021). Violante, Francesco ; Grassi, Stefano. In: Working Papers. RePEc:crs:wpaper:2021-05.

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2022Do Energy and Gold Markets Interact with Islamic Stocks? Evidence from the Asia-Pacific Markets. (2022). Usmonov, Jaloliddin ; Mukhamedov, Farkhod ; Avazkhodjaev, Salokhiddin. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2022-03-21.

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2021Assessing the performance of deep learning models for multivariate probabilistic energy forecasting. (2021). Honkapuro, Samuli ; Kaarna, Arto ; Lensu, Lasse ; Kuronen, Toni ; Mashlakov, Aleksei. In: Applied Energy. RePEc:eee:appene:v:285:y:2021:i:c:s0306261920317748.

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2021Spillover across sovereign bond markets between the US and ASEAN4 economies. (2021). Nguyen, Huy Toan ; Yiu, Matthew S ; Tsang, Andrew. In: Journal of Asian Economics. RePEc:eee:asieco:v:76:y:2021:i:c:s1049007821000725.

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2021Testing for international business cycles: A multilevel factor model with stochastic factor selection. (2021). Pozzi, Lorenzo ; Everaert, Gerdie ; Berger, Tino. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:128:y:2021:i:c:s0165188921000695.

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2021Oil and precious metals: Volatility transmission, hedging, and safe haven analysis from the Asian crisis to the COVID-19 crisis. (2021). Kang, Sang Hoon ; Vo, Xuan Vinh ; Nekhili, Ramzi ; Mensi, Walid. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:71:y:2021:i:c:p:73-96.

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2021Identifying the role of consumer and producer price index announcements in stock index futures price changes. (2021). Zhao, Weidong ; Huang, Yuan ; Fang, XI ; Liu, Guofang. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:72:y:2021:i:c:p:87-101.

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2021Volatility spillovers between food and fuel markets: Do administrative regulations affect the transmission?. (2021). Rude, James ; Qiu, Feng ; An, Henry. In: Economic Modelling. RePEc:eee:ecmode:v:102:y:2021:i:c:s0264999321001413.

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2021On the role of dependence in sticky price and sticky information Phillips curve: Modelling and forecasting. (2021). Costantini, Mauro ; Paradiso, Antonio ; Casarin, Roberto. In: Economic Modelling. RePEc:eee:ecmode:v:105:y:2021:i:c:s0264999321002339.

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2022Asymmetric multivariate HAR models for realized covariance matrix: A study based on volatility timing strategies. (2022). Zhang, YI ; Qu, Hui. In: Economic Modelling. RePEc:eee:ecmode:v:106:y:2022:i:c:s0264999321002881.

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2022Market regime detection via realized covariances. (2022). Ciciretti, Vito ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:111:y:2022:i:c:s0264999322000785.

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2022Exchange rates and the global transmission of equity market shocks. (2022). Reboredo, Juan C ; Ojea-Ferreiro, Javier. In: Economic Modelling. RePEc:eee:ecmode:v:114:y:2022:i:c:s0264999322001602.

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2021Evidence on time-varying inflation synchronization. (2021). Szafranek, Karol. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:1-13.

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2021Disagreement on sunspots and soybeans futures price. (2021). Yu, Xiaohua ; Feil, Jan-Henning ; Wang, Hanjie. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:385-393.

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2021Dynamic volatility modelling of Bitcoin using time-varying transition probability Markov-switching GARCH model. (2021). Ng, Kooi-Huat ; Koh, You-Beng ; Tan, Chia-Yen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940821000164.

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2021The interrelationship between order flow, exchange rate, and the role of American economic news. (2021). Wang, Xiangning ; Firouzi, Shahrokh. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001121.

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2022Modeling dynamic conditional correlations with leverage effects and volatility spillover effects: Evidence from the Chinese and US stock markets affected by the recent trade friction. (2022). Gao, Tianqing ; Mei, Xiaowen ; Pan, Qunxing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001947.

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2022Trade friction and price discovery in the USD–CAD spot and forward markets. (2022). Xu, Ke ; Song, Victor ; Chen, Jian ; Yan, Meng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821002217.

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2022Time-varying risk aversion and renminbi exchange rate volatility: Evidence from CARR-MIDAS model. (2022). Zhang, Huanming ; Xie, Haibin ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000559.

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2021Bootstrap based probability forecasting in multiplicative error models. (2021). Silvapulle, Mervyn J ; Perera, Indeewara . In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:1:p:1-24.

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2022Identification of structural multivariate GARCH models. (2022). Hafner, Christian ; Maxand, Simone ; Herwartz, Helmut. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:212-227.

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2022Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers. (2022). Chang, Chia-Lin ; Asai, Manabu ; McAleer, Michael. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:285-304.

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2022Infinite Markov pooling of predictive distributions. (2022). Maheu, John ; Yang, Qiao ; Jin, Xin. In: Journal of Econometrics. RePEc:eee:econom:v:228:y:2022:i:2:p:302-321.

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2021Multivariate stochastic volatility using the HESSIAN method. (2021). Pelletier, Denis ; McCausland, William ; Miller, Shirley . In: Econometrics and Statistics. RePEc:eee:ecosta:v:17:y:2021:i:c:p:76-94.

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2021Choosing the frequency of volatility components within the Double Asymmetric GARCH–MIDAS–X model. (2021). Gallo, Giampiero ; Amendola, Alessandra ; Candila, Vincenzo. In: Econometrics and Statistics. RePEc:eee:ecosta:v:20:y:2021:i:c:p:12-28.

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2021Flexible Mixture Priors for Large Time-varying Parameter Models. (2021). Hauzenberger, Niko. In: Econometrics and Statistics. RePEc:eee:ecosta:v:20:y:2021:i:c:p:87-108.

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2022Likelihood inference for Markov switching GARCH(1,1) models using sequential Monte Carlo. (2022). , William ; Chen, Feng. In: Econometrics and Statistics. RePEc:eee:ecosta:v:21:y:2022:i:c:p:50-68.

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2022High-dimensional GARCH process segmentation with an application to Value-at-Risk. (2022). Korkas, Karolos K ; Cho, Haeran. In: Econometrics and Statistics. RePEc:eee:ecosta:v:23:y:2022:i:c:p:187-203.

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2022Forecasting oil and gold volatilities with sentiment indicators under structural breaks. (2022). GUPTA, RANGAN ; Demirer, Riza ; Ji, Qiang ; Luo, Jiawen. In: Energy Economics. RePEc:eee:eneeco:v:105:y:2022:i:c:s014098832100596x.

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2022Does economic policy uncertainty drive volatility spillovers in electricity markets: Time and frequency evidence. (2022). Zhai, Pengxiang ; Liu, Zhen Hua ; Ma, Rufei. In: Energy Economics. RePEc:eee:eneeco:v:107:y:2022:i:c:s0140988322000354.

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2022Dynamic volatility connectedness between thermal coal futures and major cryptocurrencies: Evidence from China. (2022). Do, Hung Xuan ; Thanh, Thao Thac ; Pham, Son Duy. In: Energy Economics. RePEc:eee:eneeco:v:112:y:2022:i:c:s0140988322002730.

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2021Hedging stocks with oil. (2021). Wagner, Niklas F ; Szilagyi, Peter G ; Kinateder, Harald ; Batten, Jonathan A. In: Energy Economics. RePEc:eee:eneeco:v:93:y:2021:i:c:s0140988319301914.

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2022Forecasting the volatility of crude oil futures: The role of oil investor attention and its regime switching characteristics under a high-frequency framework. (2022). Suleman, Muhammad Tahir ; Niu, Zibo ; Liu, Yuanyuan ; Zhang, Hongwei ; Yin, Libo. In: Energy. RePEc:eee:energy:v:238:y:2022:i:pa:s0360544221020272.

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2022The economic value of high-frequency data in equity-oil hedge. (2022). Kuang, Wei. In: Energy. RePEc:eee:energy:v:239:y:2022:i:pa:s0360544221021526.

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2021VCRIX — A volatility index for crypto-currencies. (2021). Härdle, Wolfgang ; Hardle, Wolfgang Karl ; Trimborn, Simon ; Kim, Alisa. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002416.

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2022Senior official speech attributes and foreign exchange risk around business cycles. (2022). Welch, Robert ; Wang, Jiayu ; ben Omrane, Walid ; Ayadi, Mohamed A. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521921003240.

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2022Using implied volatility jumps for realized volatility forecasting: Evidence from the Chinese market. (2022). Chen, Pengzhan ; Wu, Bin ; Xia, Wenjing ; Ye, Wuyi. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002320.

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2022What drives cross-market correlations during the United States Q.E.?. (2022). Vo, Xuan Vinh ; Do, Hung Xuan ; Brooks, Robert ; Yip, Pick Schen. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002721.

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2021Safe haven in GFC versus COVID-19: 100 turbulent days in the financial markets. (2021). Choudhury, Tonmoy ; Campbell, Ross ; Kinateder, Harald. In: Finance Research Letters. RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321000325.

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2022Jointly forecasting the value-at-risk and expected shortfall of Bitcoin with a regime-switching CAViaR model. (2022). Guo, Ranran ; Ye, Wuyi ; Gao, Lingbo. In: Finance Research Letters. RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322001258.

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2022Frequency and severity estimation of cyber attacks using spatial clustering analysis. (2022). Jin, Zhuo ; Chu, Tingjin ; Ma, Boyuan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:106:y:2022:i:c:p:33-45.

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2022Outward FDI and exports relation: A heterogeneous panel approach dealing with cross-sectional dependence. (2022). Maza, Adolfo ; Gutierrez-Portilla, Paula. In: International Economics. RePEc:eee:inteco:v:170:y:2022:i:c:p:174-189.

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2021Dynamics of return and liquidity (co) jumps in emerging foreign exchange markets. (2021). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Serdengeti, Suleyman. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:73:y:2021:i:c:s1042443121000962.

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2021On the Economic fundamentals behind the Dynamic Equicorrelations among Asset classes: Global evidence from Equities, Real estate, and Commodities. (2021). Yfanti, S ; Karanasos, M. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121000111.

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2021Forecasting realised volatility: Does the LASSO approach outperform HAR?. (2021). McMillan, David G ; Kambouroudis, Dimos ; Ding, YI. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121001050.

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2021Long- and short-run components of factor betas: Implications for stock pricing. (2021). Christiansen, Charlotte ; Wang, Weining ; Hou, Ai Jun ; Asgharian, Hossein. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121001281.

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2022Informativeness of trades around macroeconomic announcements in the foreign exchange market. (2022). Gau, Yin-Feng ; Wu, Zhen-Xing. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:78:y:2022:i:c:s1042443122000245.

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2022Asset prices, financial amplification and monetary policy: Structural evidence from an identified multivariate GARCH model. (2022). Roestel, Jan ; Herwartz, Helmut. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:78:y:2022:i:c:s1042443122000531.

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2022Portfolio risk and stress across the business cycle. (2022). Chakraborty, Sandip ; Kakani, Ram Kumar ; Sampath, Aravind. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:80:y:2022:i:c:s1042443122000993.

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2021Analytic moments for GJR-GARCH (1, 1) processes. (2021). Stanescu, Silvia ; Lazar, Emese ; Alexander, Carol. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:105-124.

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2021A DCC-type approach for realized covariance modeling with score-driven dynamics. (2021). Corsi, Fulvio ; Buccheri, Giuseppe ; Vassallo, Danilo. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:569-586.

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2021A dynamic conditional approach to forecasting portfolio weights. (2021). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:3:p:1111-1126.

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2022Comparing probabilistic forecasts of the daily minimum and maximum temperature. (2022). Taylor, James W ; Meng, Xiaochun. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:1:p:267-281.

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More than 100 citations found, this list is not complete...

Luc Bauwens has edited the books:


YearTitleTypeCited

Works by Luc Bauwens:


YearTitleTypeCited
2011Marginal Likelihood for Markov-switching and Change-point Garch Models In: CREATES Research Papers.
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paper48
2011Marginal Likelihood for Markov-Switching and Change-Point Garch Models.(2011) In: CIRANO Working Papers.
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paper
2011Marginal likelihood for Markov-switching and change-point GARCH models.(2011) In: LIDAM Discussion Papers CORE.
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paper
2014Marginal likelihood for Markov-switching and change-point GARCH models.(2014) In: LIDAM Reprints CORE.
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paper
2014Marginal likelihood for Markov-switching and change-point GARCH models.(2014) In: Journal of Econometrics.
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article
2011Marginal Likelihood for Markov-Switching and Change-Point GARCH Models.(2011) In: Cahiers de recherche.
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paper
2018State-Space Models on the Stiefel Manifold with A New Approach to Nonlinear Filtering In: CREATES Research Papers.
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paper2
2018State-space models on the Stiefel Manifold with a new approach to nonlinear filtering.(2018) In: LIDAM Reprints CORE.
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paper
2018State-Space Models on the Stiefel Manifold with a New Approach to Nonlinear Filtering.(2018) In: Econometrics.
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article
1991Bayesian Diagnostics for Heterogeneity In: Annals of Economics and Statistics.
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article4
1991Bayesian diagnostics for heterogeneity.(1991) In: LIDAM Reprints CORE.
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This paper has another version. Agregated cites: 4
paper
1991The pathologie of the Natural Conjugate Prior Density in the Regression Model In: Annals of Economics and Statistics.
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article5
1991The pathology of the natural conjugate prior density in the regression model.(1991) In: LIDAM Reprints CORE.
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This paper has another version. Agregated cites: 5
paper
1990THE PATHOLOGY OF THE NATURAL CONJUGATE PRIOR DENSITY IN THE REGRESSION MODEL..(1990) In: G.R.E.Q.A.M..
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This paper has another version. Agregated cites: 5
paper
2000The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks In: Annals of Economics and Statistics.
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article179
2000The logarithmic ACD model: an application to the bid-ask quote process of three NYSE stocks.(2000) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has another version. Agregated cites: 179
paper
1989BAYESIAN LIMITED INFORMATION ANALYSIS REVISITED In: Econometric Institute Archives.
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paper4
2011Multivariate volatility modeling of electricity futures In: LIDAM Discussion Papers ISBA.
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paper45
2011Multivariate volatility modeling of electricity futures.(2011) In: LIDAM Discussion Papers CORE.
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paper
2013Multivariate volatility modeling of electricity futures.(2013) In: LIDAM Reprints CORE.
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paper
2011Multivariate Volatility Modeling of Electricity Futures.(2011) In: SFB 649 Discussion Papers.
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paper
2013MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES.(2013) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 45
article
2011Volatility Models In: LIDAM Discussion Papers ISBA.
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paper26
2012Volatility Models.(2012) In: LIDAM Reprints ISBA.
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This paper has another version. Agregated cites: 26
paper
2011Volatility models.(2011) In: LIDAM Discussion Papers CORE.
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This paper has another version. Agregated cites: 26
paper
2013Modelling multivariate volatility of electricity futures In: LIDAM Reprints ISBA.
[Citation analysis]
paper7
1994Estimating End-Use Demand: A Bayesian Approach. In: Journal of Business & Economic Statistics.
[Citation analysis]
article18
1992Estimating End-Use Demand : A Bayesian Approach.(1992) In: LIDAM Discussion Papers CORE.
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This paper has another version. Agregated cites: 18
paper
1994Estimating End-use Demand: a Bayesian Approach.(1994) In: LIDAM Reprints CORE.
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paper
1992Estimating end-use demand: A Bayesian approach.(1992) In: UC3M Working papers. Economics.
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paper
2005A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models In: Journal of Business & Economic Statistics.
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article123
2005A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models.(2005) In: LIDAM Reprints CORE.
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This paper has another version. Agregated cites: 123
paper
2009A Component GARCH Model with Time Varying Weights In: Studies in Nonlinear Dynamics & Econometrics.
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article32
2007A component GARCH model with time varying weights.(2007) In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
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paper
2009A component GARCH model with time varying weights.(2009) In: LIDAM Reprints CORE.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 32
paper
2007A Component GARCH Model with Time Varying Weights.(2007) In: Discussion Papers (ECON - Département des Sciences Economiques).
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This paper has another version. Agregated cites: 32
paper
2006A component GARCH model with time varying weights.(2006) In: Computing in Economics and Finance 2006.
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This paper has another version. Agregated cites: 32
paper
2011The Resistible Decline of European Science In: Recherches économiques de Louvain.
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article18
2007The resistible decline of European science.(2007) In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
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paper
2011The resistible decline of European Science.(2011) In: LIDAM Reprints CORE.
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paper
2008The Resistible Decline of European Science.(2008) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 18
paper
2011The Resistible Decline of European Science.(2011) In: Discussion Papers (REL - Recherches Economiques de Louvain).
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paper
2011The resistible decline of European science.(2011) In: LSE Research Online Documents on Economics.
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paper
2021DCC and DECO-HEAVY: a multivariate GARCH model based on realized variances and correlations In: Cardiff Economics Working Papers.
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paper0
2011A Comparison of Forecasting Procedures For Macroeconomic Series: The Contribution of Structural Break Models In: CIRANO Working Papers.
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paper60
2011A comparison of forecasting procedures for macroeconomic series: the contribution of structural break models.(2011) In: LIDAM Discussion Papers CORE.
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paper
2011A Comparison Of Forecasting Procedures For Macroeconomic Series: The Contribution Of Structural Break Models.(2011) In: SIRE Discussion Papers.
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paper
2011A Comparison of Forecasting Procedures for Macroeconomic Series: the Contribution of Structural Break Models.(2011) In: Cahiers de recherche.
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paper
2011The Contribution of Structural Break Models to Forecasting Macroeconomic Series.(2011) In: Working Paper series.
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paper
2011A comparison of Forecasting Procedures for Macroeconomic Series: The Contribution of Structural Break Models.(2011) In: Working Papers.
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paper
2015The Contribution of Structural Break Models to Forecasting Macroeconomic Series.(2015) In: Journal of Applied Econometrics.
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article
2013Modeling the Dependence of Conditional Correlations on Volatility In: Working Paper CRENoS.
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paper14
2013Modeling the dependence of conditional correlations on volatility.(2013) In: LIDAM Discussion Papers CORE.
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paper
2018Nonlinearities and Regimes in Conditional Correlations with Different Dynamics In: Working Paper CRENoS.
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paper2
2018Nonlinearities and regimes in conditional correlations with different dynamics.(2018) In: LIDAM Discussion Papers CORE.
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paper
2020Nonlinearities and regimes in conditional correlations with different dynamics.(2020) In: LIDAM Reprints CORE.
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paper
2020Nonlinearities and regimes in conditional correlations with different dynamics.(2020) In: Journal of Econometrics.
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article
2020Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models In: Working Paper CRENoS.
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paper0
2020Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models.(2020) In: LIDAM Discussion Papers CORE.
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paper
2022Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models.(2022) In: LIDAM Reprints CORE.
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paper
1987Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods. In: LIDAM Discussion Papers CORE.
[Citation analysis]
paper35
1988Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods.(1988) In: LIDAM Reprints CORE.
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paper
1988Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods.(1988) In: Journal of Econometrics.
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article
1992Approximate HPD regions for testing residual autocorrelation using augmented regressions In: LIDAM Discussion Papers CORE.
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paper0
1993Approximate HPD regions for testing residual autocorrelation using augmented regressions.(1993) In: LIDAM Reprints CORE.
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paper
1994Identification Restrictions and Posterior Densities in Cointegrated Gaussian VAR Systems In: LIDAM Discussion Papers CORE.
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paper34
1996Identification restrictions and posterior densities in cointegrated Gaussian VAR system.(1996) In: LIDAM Reprints CORE.
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paper
1994Do Art Experts make Rational Estimates of Pre-Sale Prices ? In: LIDAM Discussion Papers CORE.
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paper0
1995On the Weak Consistency of the Quasi-Maximum Likelihood Estimator in VAR Models with BEKK-GARCH(1,q) Errors In: LIDAM Discussion Papers CORE.
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paper1
1996Bayesian Inference on GARCH Models using the Gibbs Sampler In: LIDAM Discussion Papers CORE.
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paper108
1998Bayesian inference on GARCH models using the Gibbs sampler.(1998) In: LIDAM Reprints CORE.
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paper
1998Bayesian inference on GARCH models using the Gibbs sampler.(1998) In: Econometrics Journal.
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article
1996Bayesian Inference on GARCH Models Using the Gibbs Sampler..(1996) In: G.R.E.Q.A.M..
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paper
1997A Gibbs sampling approach to cointegration In: LIDAM Discussion Papers CORE.
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paper8
1998Gibbs sampling approach to cointegration.(1998) In: LIDAM Reprints CORE.
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paper
1997Bayesian option pricing using asymmetric GARCH In: LIDAM Discussion Papers CORE.
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paper5
1997Bayesian Option Pricing Using Asymmetric GARCH.(1997) In: G.R.E.Q.A.M..
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paper
1997Modelling interest rates with a cointegrated VAR-GARCH model In: LIDAM Discussion Papers CORE.
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paper9
1997The logarithmic ACD model: an application to market microstructure and NASDAQ In: LIDAM Discussion Papers CORE.
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paper2
1998Asymmetric ACD models: introducing price information in ACD models with a two state transition model In: LIDAM Discussion Papers CORE.
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paper5
1999Adaptive polar sampling with an application to a Bayes measure of value-at-risk In: LIDAM Discussion Papers CORE.
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paper13
1999Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk.(1999) In: Econometric Institute Research Papers.
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paper
2000ADAPTIVE POLAR SAMPLING WITH AN APPLICATION TO A BAYES MEASURE OF VALUE-AT-RISK.(2000) In: Computing in Economics and Finance 2000.
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paper
1999Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk.(1999) In: Tinbergen Institute Discussion Papers.
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paper
1999The stochastic conditional duration model: a latent factor model for the analysis of financial durations In: LIDAM Discussion Papers CORE.
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paper121
2004The stochastic conditional duration model: a latent factor model for the analysis of financial durations.(2004) In: ULB Institutional Repository.
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paper
2000Identifying long-run behaviour with non-stationary data. In: LIDAM Discussion Papers CORE.
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paper1
2000A comparison of financial duration models via density forecasts In: LIDAM Discussion Papers CORE.
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paper109
2004A comparison of financial duration models via density forecasts.(2004) In: LIDAM Reprints CORE.
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paper
2000A Comparison of Financial Duration Models via Density Forecasts.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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paper
2004A comparison of financial duration models via density forecasts.(2004) In: International Journal of Forecasting.
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article
2004A comparison of financial duration models via density forecast.(2004) In: ULB Institutional Repository.
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paper
2002A new class of multivariate skew densities, with application to GARCH models In: LIDAM Discussion Papers CORE.
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paper40
2002A New Class of Multivariate skew Densities, with Application to GARCH Models.(2002) In: Computing in Economics and Finance 2002.
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paper
2003The moments of Log-ACD models In: LIDAM Discussion Papers CORE.
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paper22
2009The moments of Log-ACD models.(2009) In: LIDAM Reprints CORE.
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paper
2003News announcements, market activity and volatility in the Euro/Dollar foreign exchange market In: LIDAM Discussion Papers CORE.
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paper110
2005News announcements, market activity and volatility in the euro/dollar foreign exchange market.(2005) In: LIDAM Reprints CORE.
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paper
2005News announcements, market activity and volatility in the euro/dollar foreign exchange market.(2005) In: Journal of International Money and Finance.
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article
2003Multivariate GARCH models: a survey In: LIDAM Discussion Papers CORE.
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paper1018
2006Multivariate GARCH models: a survey.(2006) In: LIDAM Reprints CORE.
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paper
2006Multivariate GARCH models: a survey.(2006) In: Journal of Applied Econometrics.
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article
2006Multivariate GARCH models: a survey.(2006) In: Journal of Applied Econometrics.
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article
2003Ranking economics departments in Europe: a statistical approach In: LIDAM Discussion Papers CORE.
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paper117
2003Ranking economics departments in Europe: a statistical approach.(2003) In: LIDAM Reprints CORE.
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paper
2003Ranking Economics Departments in Europe: A Statistical Approach.(2003) In: Journal of the European Economic Association.
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article
2003Bayesian clustering of many GARCH models In: LIDAM Discussion Papers CORE.
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paper21
2007Bayesian clustering of many GARCH models.(2007) In: LIDAM Reprints CORE.
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paper
2007Bayesian Clustering of Many Garch Models.(2007) In: Econometric Reviews.
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This paper has another version. Agregated cites: 21
article
2003Dynamic latent factor models for intensity processes In: LIDAM Discussion Papers CORE.
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paper18
2005Exchange rate volatility and the mixture of distribution hypothesis In: LIDAM Discussion Papers CORE.
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paper23
2006Exchange rate volatility and the mixture of distribution hypothesis.(2006) In: LIDAM Reprints CORE.
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paper
2005Exchange Rate Volatility and the Mixture of Distribution Hypothesis.(2005) In: Discussion Papers (ECON - Département des Sciences Economiques).
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paper
2006Exchange rate volatility and the mixture of distribution hypothesis.(2006) In: Empirical Economics.
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2008Exchange rate volatility and the mixture of distribution hypothesis.(2008) In: Studies in Empirical Economics.
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chapter
2005Bayesian inference for the mixed conditional heteroskedasticity model In: LIDAM Discussion Papers CORE.
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paper12
2007Bayesian inference for the mixed conditional heteroskedasticity model.(2007) In: LIDAM Reprints CORE.
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paper
2005Bayesian inference for the mixed conditional heteroskedasticity model.(2005) In: Discussion Papers (ECON - Département des Sciences Economiques).
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paper
2007Bayesian inference for the mixed conditional heteroskedasticity model.(2007) In: Econometrics Journal.
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article
2006Bayesian inference for the mixed conditional heteroskedasticity model.(2006) In: Cahiers de recherche.
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paper
2006Intra-daily FX optimal portfolio allocation In: LIDAM Discussion Papers CORE.
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paper3
2006Intra-Daily FX Optimal Portfolio Allocation.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
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paper
2006Regime switching GARCH models In: LIDAM Discussion Papers CORE.
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paper21
2006Regime switching GARCH models.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
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paper
2006Regime switching GARCH models.(2006) In: Cahiers de recherche.
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paper
2006Multivariate mixed normal conditional heteroskedasticity In: LIDAM Discussion Papers CORE.
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paper39
2007Multivariate mixed normal conditional heteroskedasticity.(2007) In: LIDAM Reprints CORE.
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paper
2006Multivariate mixed normal conditional heteroskedasticity.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
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paper
2007Multivariate mixed normal conditional heteroskedasticity.(2007) In: Computational Statistics & Data Analysis.
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article
2006General to specific modelling of exchange rate volatility: a forecast evaluation In: LIDAM Discussion Papers CORE.
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paper19
2010General-to-specific modelling of exchange rate volatility: a forecast evaluation.(2010) In: LIDAM Reprints CORE.
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2008General to specific modelling of exchange rate volatility : a forecast evaluation.(2008) In: UC3M Working papers. Economics.
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